Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0125
Annualized Std Dev 0.5542
Annualized Sharpe (Rf=0%) 0.0226

Row

Daily Return Statistics

Close
Observations 3555.0000
NAs 1.0000
Minimum -0.2468
Quartile 1 -0.0144
Median 0.0019
Arithmetic Mean 0.0007
Geometric Mean 0.0000
Quartile 3 0.0170
Maximum 0.2352
SE Mean 0.0006
LCL Mean (0.95) -0.0005
UCL Mean (0.95) 0.0018
Variance 0.0012
Stdev 0.0349
Skewness -0.3431
Kurtosis 6.6583

Downside Risk

Close
Semi Deviation 0.0256
Gain Deviation 0.0239
Loss Deviation 0.0278
Downside Deviation (MAR=210%) 0.0294
Downside Deviation (Rf=0%) 0.0253
Downside Deviation (0%) 0.0253
Maximum Drawdown 0.9284
Historical VaR (95%) -0.0534
Historical ES (95%) -0.0867
Modified VaR (95%) -0.0554
Modified ES (95%) -0.1026
From Trough To Depth Length To Trough Recovery
2008-06-19 2009-03-02 NA -0.9284 3211 176 NA
2007-10-30 2008-01-22 2008-05-16 -0.3348 138 57 81
2007-07-20 2007-08-16 2007-10-09 -0.3117 57 20 37
2007-02-27 2007-03-05 2007-04-09 -0.1475 29 5 24
2008-05-19 2008-05-27 2008-06-05 -0.1027 13 6 7

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA 0.4 -0.1 -2.7 2 0.6 0.6 4.1 3 -6.8 0.9 -2.5 -0.9
2008 6 -5.7 4.4 -1.3 2.4 -1.6 -5.7 -2.4 -6.2 2.4 -21 4.1 -24.5
2009 -8.8 -1.1 7.4 3.1 8.2 0.9 3.8 -5.4 -8.5 -7.5 3.3 -2.6 -8.7
2010 8.5 4.1 3.9 -4 -7.7 -1.5 1.3 6.7 2.9 0.5 5.4 0.2 20.7
2011 5.6 -4.1 0.4 1.3 -6 1.8 -0.3 -3 -7.4 -5.9 -1.3 0.2 -17.8
2012 2.7 1.8 0.7 1.3 -3.9 5.9 -0.4 2.4 0.6 5 0.3 4 22.1
2013 1.9 -0.8 -2.6 -4.2 -2.3 1.7 1.2 -0.5 1.2 -0.3 0.3 0.5 -4
2014 -0.9 0.6 1.3 -1 -0.5 0.4 0.8 0.5 -4.9 3.7 -2.4 -2 -4.8
2015 -0.4 -0.4 -0.2 3 -0.1 0.4 -0.8 -6.3 1.5 0.3 1.1 -1.1 -3.3
2016 0.6 4.8 1.6 -1 0.5 0.7 -0.9 0.2 1.1 -0.7 -0.5 -1.5 4.9
2017 1.2 3.7 -0.8 0.1 2.6 1.1 0.6 1.2 0.2 1.2 -1.6 -0.3 9.4
2018 -2.7 -1.2 3.8 -0.6 3 1.3 -2.1 0.7 1.3 6.2 -0.4 0.9 10.3
2019 1.1 0 3.3 -3.7 -2.8 0.9 -2.2 1.6 -4.5 3.5 -0.9 1.5 -2.5
2020 -4.4 -3.6 -9.3 -5.1 1.6 -1.1 0.3 4.8 -3 -1.5 2.5 0.6 -17.4
2021 2.4 5 0.4 NA NA NA NA NA NA NA NA NA 7.9

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2007-02-01  72.7 SPY    145.  6.00e-3   0.0165   0.0211   0.0493    0.134    0.274    0.293 GLD    65.2  0.006    0.0181
2 2007-02-02  72.2 SPY    145.  1.40e-3   0.0186   0.0243   0.0509    0.128    0.271    0.280 GLD    64.3 -0.0144   0.0028
3 2007-02-05  72.5 SPY    145.  3.00e-4   0.0197   0.0224   0.0584    0.141    0.273    0.286 GLD    64.3  0.0005   0.0085
4 2007-02-06  72.8 SPY    145.  3.00e-4   0.0147   0.031    0.0593    0.148    0.284    0.319 GLD    64.8  0.0075   0.0089
5 2007-02-07  72.8 SPY    145.  2.20e-3   0.0102   0.0285   0.0635    0.147    0.283    0.330 GLD    64.6 -0.0025  -0.0031
6 2007-02-08  72.9 SPY    145. -1.30e-3   0.0028   0.028    0.0503    0.156    0.267    0.334 GLD    65.5  0.0138   0.0046
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart